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Filed Pursuant to Rule 433
Registration Statement No. 333-259205
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The information in this preliminary terms
supplement is not complete and may be changed.
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Preliminary Terms Supplement
Subject to Completion:
Dated October 12, 2021
Pricing Supplement Dated October
__, 2021 to the Product Prospectus Supplement ERN-EI-1
Dated September 14, 2021, Prospectus Supplement Dated September 14, 2021, and Prospectus Dated September 14, 2021
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$_____
Barrier Booster Notes Linked to the Lesser Performing
of Two Equity Indices, Due October 29, 2027
Royal Bank of Canada
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Reference Assets
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Initial Levels*
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Barrier Levels
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S&P 500® Index (“SPX”)
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60.00% of its Initial Level
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EURO STOXX 50® Index (“SX5E”)
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60.00% of its Initial Level
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Issuer:
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Royal Bank of Canada
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Stock Exchange Listing:
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None
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Trade Date:
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October 26, 2021
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Principal Amount:
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$1,000 per Note
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Issue Date:
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October 29, 2021
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Maturity Date:
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October 29, 2027
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Valuation Date:
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October 26, 2027
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Booster Coupon:
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[55.00% to 65.00%] (to be determined on the Trade Date)
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Payment at Maturity:
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If the Final Level of the Lesser Performing Reference Asset is greater than or equal to its Initial Level but its Percentage Change does not exceed the Booster Coupon, the Notes provide a fixed return equal to the
Principal Amount plus the Booster Coupon. If the Final Level of the Lesser Performing Reference Asset is greater than its Initial Level and its Percentage Change exceeds the Booster Coupon, the Notes provide a one-for-one positive return
based upon the increase in the level of that Reference Asset.
If the Final Level of the Lesser Performing Reference Asset is less than its Initial Level, but is not less than its Barrier Level, then the investor will receive the principal amount only. If the Final Level of
the Lesser Performing Reference Asset is less than its Barrier Level (60.00% of its Initial Level), you will receive an amount at maturity that is proportionate to the decrease in that Reference Asset over the term of the Notes, and you may
lose up to 100% of your initial investment.
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Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Interest Payments:
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None.
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CUSIP:
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78016F3K8
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Per Note
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Total
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Price to public(1)
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100.00%
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$
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Underwriting discounts and commissions(1)
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3.25%
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$
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Proceeds to Royal Bank of Canada
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96.75%
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$
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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General:
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This terms supplement relates to an offering of Barrier Booster Notes (the “Notes”) linked to the lesser performing of two equity indices (the “Reference Assets”).
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Issuer:
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Royal Bank of Canada (“Royal Bank”)
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Trade Date (Pricing
Date):
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October 26, 2021
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Issue Date:
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October 29, 2021
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Valuation Date:
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October 26, 2027
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Maturity Date:
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October 29, 2027
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 thereafter.
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Designated Currency:
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U.S. Dollars
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Initial Level:
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For each Reference Asset, its closing level on the Trade Date.
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Final Level:
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For each Reference Asset, its closing level on the Valuation Date.
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Barrier Level:
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For each Reference Asset, 60% of its Initial Level.
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Barrier Percentage:
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40%
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Booster Coupon:
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[55.00% to 65.00%] (to be determined on the Trade Date)
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Payment at Maturity:
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If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is zero or positive, but does not exceed the Booster Coupon, then the investor will receive an amount equal
to the principal amount plus the Booster Coupon.
If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is greater than the Booster Coupon, then the investor will receive an amount equal to:
Principal Amount + (Principal Amount x Percentage Change of Lesser Performing Reference Asset)
If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is less than 0%, but the Final Level has not decreased by more than the Barrier Percentage (that is, the
Percentage Change is between -0.01% and -40.00%), then the investor will receive the principal amount only.
If, on the Valuation Date, the Percentage Change of the Lesser Performing Reference Asset is negative, and its Final Level has decreased by more than the Barrier Percentage (that is, the Percentage
Change is between -40.01% and -100%), then the investor will receive a cash payment equal to:
Principal Amount + (Principal Amount x Percentage Change of Lesser Performing Reference Asset)
In this case, you will lose all or a portion of the principal amount of the Notes.
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Percentage Change:
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With respect to each Reference Asset:
Final Level – Initial Level
Initial Level |
Lesser Performing
Reference Asset:
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The Reference Asset which has the lowest Percentage Change.
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Market Disruption
Events:
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If a market disruption event occurs on the Valuation Date as to a Reference Asset, the determination of the Final Level of that Reference Asset will be postponed. However, the
determination of the Final Level of any Reference Asset that is not affected by that market disruption event will not be postponed.
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Calculation Agent:
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RBC Capital Markets, LLC (“RBCCM”)
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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U.S. Tax Treatment:
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By purchasing a Note, each holder agrees (in the absence of a change in law, an administrative determination or a judicial ruling to the contrary) to treat the Note as a
pre-paid cash-settled derivative contract in respect of the Reference Assets for U.S. federal income tax purposes. However, the U.S. federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue
Service could assert that the Notes should be taxed in a manner that is different from that described in the preceding sentence. Please see the section below, “Supplemental Discussion of U.S. Federal Income Tax Consequences,” and the
discussion (including the opinion of Ashurst LLP, our special U.S. tax counsel) in the product prospectus supplement dated September 14, 2021 under “Supplemental Discussion of U.S. Federal Income Tax Consequences,” which apply to the Notes.
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Secondary Market:
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RBCCM (or one of its affiliates), though not obligated to do so, may maintain a secondary market in the Notes after the issue date. The amount that you may receive upon sale of
your Notes prior to maturity may be less than the principal amount.
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Listing:
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The Notes will not be listed on any securities exchange.
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Settlement:
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DTC global (including through its indirect participants Euroclear and Clearstream, Luxembourg as described under “Ownership and Book-Entry Issuance” in the prospectus dated
September 14, 2021).
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Terms Incorporated in
the Master Note:
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All of the terms appearing on the cover page and above the item captioned “Secondary Market” on pages P-2 and P-3 of this terms supplement and the terms appearing under the
caption “General Terms of the Notes” in the product prospectus supplement dated September 14, 2021, as modified by this terms supplement.
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Example 1—
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is positive, but less than the Booster Coupon.
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Percentage Change:
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10%, which is less than the Booster Coupon
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Payment at Maturity:
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$1,000 + ($1,000 x 60.00%) = $1,000 + $600.00 = $1,600.00
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On a $1,000 investment, a 10% Percentage Change for the Lesser Performing Reference Asset results in a Payment at Maturity of $1,600.00, a 60.00% return on the Notes.
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Example 2—
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is positive and exceeds the Booster Coupon.
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Percentage Change:
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70%
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Payment at Maturity:
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$1,000 + ($1,000 x 70.00%) = $1,000 + $700.00 = $1,700.00
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On a $1,000 investment, a 70% Percentage Change for the Lesser Performing Reference Asset results in a Payment at Maturity of $1,700.00, a 70.00% return on the Notes.
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Example 3—
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (but not by more than the Barrier Percentage).
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Percentage Change:
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-10%
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Payment at Maturity:
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At maturity, if the Percentage Change of the Lesser Performing Reference Asset is negative BUT not by more than the Barrier Percentage, then the Payment at Maturity will equal the principal
amount.
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On a $1,000 investment, a -10% Percentage Change results in a Payment at Maturity of $1,000,
a 0% return on the Notes. |
Example 4—
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Calculation of the Payment at Maturity where the Percentage Change of the Lesser Performing Reference Asset is negative (by more than the Barrier Percentage).
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Percentage Change:
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-45%
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Payment at Maturity:
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$1,000 + ($1,000 x -45.00%) = $1,000 - $450.00 = $550.00
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On a $1,000 investment, a -45% Percentage Change in the Lesser Performing Reference Asset results in a Payment at Maturity of $550.00, a -45% return on the Notes.
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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You May Lose All or a Substantial Portion of the Principal Amount at Maturity – Investors in the Notes could lose all or a substantial portion of their principal amount if
there is a decline in the level of the Lesser Performing Reference Asset between the Trade Date and the Valuation Date of more than 40%. In such a case, you will lose 1% of the principal amount of your Notes for each 1% that the Final Level
of the Lesser Performing Reference Asset is less than its Initial Level.
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Your Redemption Amount Will Be Determined Solely by Reference to the Lesser Performing Reference Asset Even if the Other Reference Asset Performs Better – Your Redemption
Amount will be determined solely by reference to the performance of the Lesser Performing Reference Asset. Even if the Final Level of the other Reference Asset has increased compared to its Initial Level, or has experienced a decrease that is
less than that of the Lesser Performing Reference Asset, your return will only be determined by reference to the performance of the Lesser Performing Reference Asset, regardless of the performance of the other Reference Asset. The Notes are
not linked to a weighted basket, in which the risk may be mitigated and diversified among each of the basket components. For example, in the case of notes linked to a weighted basket, the return would depend on the weighted aggregate
performance of the basket components reflected as the basket return. As a result, the depreciation of one basket component could be mitigated by the appreciation of the other basket component, as scaled by the weighting of that basket
component. However, in the case of the Notes, the individual performance of each of the Reference Assets would not be combined, and the depreciation of one Reference Asset would not be mitigated by any appreciation of the other Reference
Asset. Instead your return will depend solely on the Final Level of the Lesser Performing Reference Asset.
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The Notes Do Not Pay Interest and Your Return May Be Lower than the Return on a Conventional Debt Security of Comparable Maturity – You will not receive any interest
payments on the Notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. The return that you will receive on the Notes, which could be negative, may be less than the return you could earn
on other investments. The return on the Notes may be less than the return you would earn if you purchased one of our conventional senior interest bearing debt securities.
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Payments on the Notes Are Subject to Our Credit Risk, and Changes in Our Credit Ratings Are Expected to Affect the Market Value of the Notes – The Notes are our senior
unsecured debt securities. As a result, your receipt of the Redemption Amount is dependent upon our ability to repay our obligations at that time. This will be the case even if the levels of the Reference Assets increase after the Trade Date.
No assurance can be given as to what our financial condition will be at the maturity of the Notes.
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There May Not Be an Active Trading Market for the Notes – Sales in the Secondary Market May Result in Significant Losses – There may
be little or no secondary market for the Notes. The Notes will not be listed on any securities exchange. RBCCM and our other affiliates may make a market for the Notes; however, they are not required to do so. RBCCM or any of our other
affiliates may stop any market-making activities at any time. Even if a secondary market for the Notes develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any
secondary market would be high. As a result, the difference between bid and asked prices for your Notes in any secondary market could be substantial.
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The Initial Estimated Value of the Notes Will Be Less than the Price to the Public — The initial estimated value that will be set
forth on the cover page of the final pricing supplement for the Notes does not represent a minimum price at which we, RBCCM or any of our affiliates would be willing to purchase the Notes in any
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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The Initial Estimated Value of the Notes that We Will Provide in the Final Pricing Supplement Will Be an Estimate Only, Calculated as of the Time the Terms of the Notes Are Set —
The initial estimated value of the Notes will be based on the value of our obligation to make the payments on the Notes, together with the mid-market value of the derivative embedded in the terms of the Notes. See “Structuring the Notes”
below. Our estimate will be based on a variety of assumptions, including our credit spreads, expectations as to dividends, interest rates and volatility, and the expected term of the Notes. These assumptions are based on certain forecasts
about future events, which may prove to be incorrect. Other entities may value the Notes or similar securities at a price that is significantly different than we do.
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Our Business Activities May Create Conflicts of Interest — We and our affiliates expect to engage in trading activities related to the Reference Assets that are not for the
account of holders of the Notes or on their behalf. These trading activities may present a conflict between the holders’ interests in the Notes and the interests we and our affiliates will have in their proprietary accounts, in facilitating
transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities, if they influence the levels of the Reference Assets, could be adverse to the interests
of the holders of the Notes. We and one or more of our affiliates may, at present or in the future, engage in business with companies included in the Reference Assets, including making loans to or providing advisory services. These services
could include investment banking and merger and acquisition advisory services. These activities may present a conflict between our or one or more of our affiliates’ obligations and your interests as a holder of the Notes. Moreover, we, and
our affiliates may have published, and in the future expect to publish, research reports with respect to the Reference Assets. This research is modified from time to time without notice and may express opinions or provide recommendations that
are inconsistent with purchasing or holding the Notes. Any of these activities by us or one or more of our affiliates may affect the levels of the Reference Assets, and therefore, the market value of the Notes.
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An Investment in the Notes Is Subject to Risks Relating to Non-U.S. Securities Markets – Because foreign companies or foreign equity securities included in the SX5E are
publicly traded in the applicable foreign countries and are denominated in euros, an investment in the Notes involves particular risks. For example, the non-U.S. securities markets may be more volatile than the U.S. securities markets, and
market developments may affect these markets differently from the U.S. or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the U.S., as well as cross-shareholdings in certain
companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information concerning the foreign issuers may vary depending on their home jurisdiction and the reporting requirements imposed by
their
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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You Will Not Have Any Rights to the Securities Included in the Reference Assets – As a holder of the Notes, you will
not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in the Reference Asset would have. The Final Level will not reflect any dividends paid on the securities
included in the Reference Asset, and accordingly, any positive return on the Notes may be less than the potential positive return on those securities.
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The Payments on the Notes Are Subject to Postponement Due to Market Disruption Events and Adjustments – The Redemption Amount and the Valuation Date
are subject to adjustment as to each Reference Asset as described in the product prospectus supplement. For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see
“General Terms of the Notes—Market Disruption Events” in the product prospectus supplement.
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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SX5E =
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Free float market capitalization of the SX5E
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Divisor
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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sponsor, endorse, sell, or promote the Notes;
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recommend that any person invest in the Notes offered hereby or any other securities;
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have any responsibility or liability for or make any decisions about the timing, amount, or pricing of the Notes;
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have any responsibility or liability for the administration, management, or marketing of the Notes; or
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consider the needs of the Notes or the holders of the Notes in determining, composing, or calculating the SX5E, or have any obligation to do so.
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STOXX does not make any warranty, express or implied, and disclaims any and all warranty concerning:
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the results to be obtained by the Notes, the holders of the Notes or any other person in connection with the use of the SX5E and the data included in the SX5E;
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the accuracy or completeness of the SX5E and its data;
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the merchantability and the fitness for a particular purpose or use of the SX5E and its data;
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STOXX will have no liability for any errors, omissions, or interruptions in the SX5E or its data; and
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Under no circumstances will STOXX be liable for any lost profits or indirect, punitive, special, or consequential damages or losses, even if STOXX knows that they might occur.
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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Barrier Booster Notes Linked to the Lesser
Performing of Two Equity Indices
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